Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0117 |
| Annualized Std Dev | 0.1532 |
| Annualized Sharpe (Rf=0%) | -0.0761 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5558.0000 |
| NAs | 1.0000 |
| Minimum | -0.1597 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1064 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0096 |
| Skewness | -1.9119 |
| Kurtosis | 42.2765 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0073 |
| Gain Deviation | 0.0069 |
| Loss Deviation | 0.0090 |
| Downside Deviation (MAR=210%) | 0.0121 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.6394 |
| Historical VaR (95%) | -0.0125 |
| Historical ES (95%) | -0.0233 |
| Modified VaR (95%) | -0.0122 |
| Modified ES (95%) | -0.0122 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-09-17 | 2008-12-15 | NA | -0.6394 | 4407 | 1321 | NA |
| 1999-01-05 | 1999-12-17 | 2001-09-06 | -0.2243 | 653 | 232 | 421 |
| 2001-09-10 | 2002-03-25 | 2002-08-09 | -0.0857 | 224 | 129 | 95 |
| 2003-07-09 | 2003-08-05 | 2003-09-16 | -0.0803 | 49 | 20 | 29 |
| 2002-10-08 | 2002-11-27 | 2003-06-05 | -0.0732 | 166 | 37 | 129 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 0.8 | 0 | 0.4 | 0.4 | 0 | 0 | -0.4 | 0.9 | 0 | 0 | 2.1 |
| 2000 | 0.5 | 0.5 | 0.9 | 0.4 | 0 | 0 | -0.9 | 2.1 | 0.4 | 1.8 | 0.4 | 0.4 | 6.8 |
| 2001 | 0.7 | 0.6 | 1.3 | 0.8 | 0.3 | 0.5 | 0.1 | -0.1 | 1.2 | 0.4 | -0.6 | 0.6 | 6 |
| 2002 | 0 | -0.7 | 0.5 | 0.1 | 0 | 0.9 | 1 | 0.5 | 0.7 | 0.3 | 0.3 | 0.4 | 4 |
| 2003 | -0.1 | -0.6 | 0.2 | 0.1 | 0.5 | 0.8 | -1.5 | 0.2 | 0.6 | 0.4 | -0.3 | 0.1 | 0.4 |
| 2004 | -0.6 | 0.1 | 0.4 | -0.4 | -0.8 | 0.5 | 0.7 | -0.6 | 0.5 | -0.1 | 0 | 0.5 | 0.1 |
| 2005 | 0.4 | 0.4 | 1.4 | 0.1 | -0.3 | 0.7 | -0.6 | 0.1 | -0.1 | 0.7 | -0.1 | -0.3 | 2.5 |
| 2006 | 0.8 | 0.3 | 1.1 | -0.2 | 0.5 | 0.9 | 0.9 | -0.3 | 0.4 | 0.5 | 0.1 | 0.6 | 5.7 |
| 2007 | -0.3 | 0.7 | 0.2 | -0.2 | -0.4 | 0.2 | 0 | 0.3 | -0.1 | 0.2 | 1.4 | 0.8 | 2.8 |
| 2008 | 0.1 | -2.4 | 1.1 | 0.1 | 0.5 | -0.1 | 0.1 | -0.8 | 1.4 | -0.6 | -2.7 | 4.2 | 0.7 |
| 2009 | -1.3 | 0.4 | 3.4 | 0.8 | 0.8 | -0.3 | -0.4 | -0.3 | -0.5 | -1 | 0.6 | 0.5 | 2.8 |
| 2010 | 1 | -0.6 | 0.7 | -0.2 | 0.1 | 0.4 | 0.9 | 0.4 | 0.4 | 0.4 | -1.3 | 1.6 | 4 |
| 2011 | 1.3 | -0.2 | 0.6 | 0.4 | -0.5 | -0.5 | 1.6 | 0.5 | -0.5 | 0.1 | -0.3 | 0.3 | 2.7 |
| 2012 | 0.3 | 0.8 | -0.2 | 0.5 | -0.1 | 0.6 | -0.3 | -0.4 | -1.5 | 0.1 | -0.4 | 0.4 | -0.2 |
| 2013 | 0.7 | -0.6 | 0.2 | 0.3 | -1.8 | 0 | -0.6 | 0.4 | 0.3 | -0.7 | -0.5 | 0.8 | -1.5 |
| 2014 | 0.3 | -0.2 | -0.4 | 0.9 | -0.4 | -0.1 | -0.2 | 0.1 | 0.9 | 0 | 0.6 | 0.1 | 1.6 |
| 2015 | 0.8 | 1.7 | 0 | -0.2 | 0.6 | 0 | 0.6 | 0.7 | 0.7 | 0.2 | 1 | 0.6 | 6.8 |
| 2016 | 0.4 | 0.9 | -0.4 | 0.6 | 1.4 | 0 | -0.3 | 0.9 | -0.1 | 0.6 | 0.2 | 0.3 | 4.6 |
| 2017 | 0 | -0.3 | -0.1 | -0.2 | 0.3 | -0.3 | 0.9 | 0.5 | 0.4 | 0.4 | 0 | 0.2 | 1.8 |
| 2018 | -0.1 | -0.5 | -0.2 | 0.5 | 0.2 | 0.4 | -0.2 | 0.5 | 0.1 | 0.3 | 0.4 | 1.3 | 2.7 |
| 2019 | -0.3 | 0.5 | 0 | 0.7 | 0.2 | 0.9 | 0.2 | 1.5 | -0.5 | 0 | 0.2 | 0.4 | 3.8 |
| 2020 | -0.1 | -2.2 | -4.1 | 0.2 | -0.2 | -0.1 | 0.2 | 0.7 | 0.3 | 0.4 | 0.4 | 0.6 | -3.8 |
| 2021 | -0.5 | -0.2 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
